i solder.. but i'll admit, i just recently changed all my gauge lights to one giant twisted wire connection w/ decent tape.
I got tired of soldering them all together, then soldering them all.. (7 (+) wires now with 1 common ground) It has been flawless for now, and it makes testing each easier, as well as pulling the unit out MUCH easier.
I would not recommend this for anyone though.
Solder, or use wire connectors.